## The Annals of Statistics

### Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process

M. M. Rao

#### Abstract

The limit distribution of the least squares estimator $\hat{\alpha}$ of the parameter $\alpha$ of the first order stochastic difference equation, in the boundary case $|\alpha| = 1$, is presented. With this, the asymptotic distributional problem for any real $\alpha$ in the first order case is completely settled.

#### Article information

Source
Ann. Statist., Volume 6, Number 1 (1978), 185-190.

Dates
First available in Project Euclid: 12 April 2007

https://projecteuclid.org/euclid.aos/1176344077

Digital Object Identifier
doi:10.1214/aos/1176344077

Mathematical Reviews number (MathSciNet)
MR458676

Zentralblatt MATH identifier
0378.62018

JSTOR